Interpreting volatility shocks as preference shocks

DOI10.1016/J.ECONLET.2016.07.028zbMath1396.91499OpenAlexW2546758062MaRDI QIDQ1668653

Shaofeng Xu

Publication date: 29 August 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/148152

zbMATH Keywords

recursive preferencestime-varying uncertaintyvolatility shocks

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (2)

Volatility risk and economic welfare ⋮ Investment decisions when utility depends on wealth and other attributes

Cites Work

• A Theory of the Term Structure of Interest Rates
• The Impact of Uncertainty Shocks
• Stochastic Differential Utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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